As one source clearly states: "Shortly speaking, it is not possible to directly convert an EXE to a DMG. Therefore, there is no such thing as an EXE to DMG converter or a free online tool for converting .EXE to .DMG."
Contrary to popular belief, a DMG is not an executable file like an EXE. It's more accurately described as a virtual disk—similar to an ISO file—that acts as a container for applications and installers. You can think of it like a virtual CD that you insert (mount), view its contents, and then use those contents to install software. Exe To Dmg Converter Online